重构波动率:粗糙波动率下指数期权的定价

IF 1.6 3区经济学 Q3 BUSINESS, FINANCE

Mathematical Finance Pub Date : 2023-01-13 DOI:10.1111/mafi.12374

Peter K. Friz, Thomas Wagenhofer

引用次数: 0

摘要

Avellaneda等人(2002,2003)率先采用大偏差方法对指数期权(对隐含波动率和相关假设高度敏感的产品)定价和对冲，假设指数所有组成部分的局部波动动态。我们提出了一个适用于非马尔可夫动力学，特别是粗糙波动动力学的推广。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Reconstructing volatility: Pricing of index options under rough volatility

Avellaneda et al. (2002, 2003) pioneered the pricing and hedging of index options – products highly sensitive to implied volatility and correlation assumptions – with large deviations methods, assuming local volatility dynamics for all components of the index. We present an extension applicable to non-Markovian dynamics and in particular the case of rough volatility dynamics.

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来源期刊

Mathematical Finance 数学-数学跨学科应用

CiteScore

4.10

自引率

6.20%

发文量

审稿时长

>12 weeks

期刊介绍： Mathematical Finance seeks to publish original research articles focused on the development and application of novel mathematical and statistical methods for the analysis of financial problems. The journal welcomes contributions on new statistical methods for the analysis of financial problems. Empirical results will be appropriate to the extent that they illustrate a statistical technique, validate a model or provide insight into a financial problem. Papers whose main contribution rests on empirical results derived with standard approaches will not be considered.